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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 * 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 * 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 0 * 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.8 102.8 104.1 * 0.0 * 0.0
Weighted Avg. Price 100.8 102.8 104.1 * 0.0 * 0.0
Avg. Price Bottom 5 Trades 100.7 102.8 104.1 * 0.0 * 0.0
2nd Quartile Price 100.8 102.8 104.1 * 0.0 * 0.0
3rd Quartile Price 100.8 102.8 104.2 * 0.0 * 0.0
4th Quartile Price 100.8 102.9 104.2 * 0.0 * 0.0
Avg. Price Top 5 Trades 100.9 102.9 104.2 * 0.0 * 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 * 0.0
     VOLUME OF TRADES (000'S) 3,454,848.2 3,697,568.9 2,187,408.9 * 0.0 * 0.0
     NUMBER OF TRADES 140 296 111 * 0 * 0
FHLMC
AVERAGE PRICE 100.9 102.9 104.3 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.8 102.9 104.3 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.8 102.9 104.3 0.0 0.0 0.0 0.0
2nd Quartile Price 100.8 102.9 104.3 0.0 0.0 0.0 0.0
3rd Quartile Price 100.9 102.9 104.3 0.0 0.0 0.0 0.0
4th Quartile Price 100.9 102.9 104.4 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 103.0 104.3 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 191,646.3 577,936.4 72,326.3 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 28 28 7 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.7 102.7 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.7 102.8 104.1 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.6 102.7 104.1 0.0 0.0 0.0 0.0
2nd Quartile Price 100.6 102.7 104.1 0.0 0.0 0.0 0.0
3rd Quartile Price 100.7 102.7 104.1 0.0 0.0 0.0 0.0
4th Quartile Price 100.7 102.8 104.1 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.8 102.8 104.1 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 2,869,256.0 1,931,059.0 1,942,585.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 39 63 38 0 0 0 0
FHLMC
AVERAGE PRICE * 102.8 * 0.0 0.0 0.0 0.0
Weighted Avg. Price * 102.8 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 102.8 * 0.0 0.0 0.0 0.0
2nd Quartile Price * 102.8 * 0.0 0.0 0.0 0.0
3rd Quartile Price * 102.8 * 0.0 0.0 0.0 0.0
4th Quartile Price * 102.8 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 102.8 * 0.0 0.0 0.0 0.0
Standard Deviation * 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 343,700.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 13 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.6 102.6 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.6 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.5 102.6 * 0.0 0.0 0.0 0.0
2nd Quartile Price 100.5 102.6 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.6 102.6 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.6 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.6 102.7 * 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 355,300.0 1,013,495.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 16 66 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * * * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * * 0.0 0.0
2nd Quartile Price 0.0 0.0 * * * 0.0 0.0
3rd Quartile Price 0.0 0.0 * * * 0.0 0.0
4th Quartile Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * * 0.0 0.0
Standard Deviation 0.0 0.0 * * * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * * 0.0 0.0
     NUMBER OF TRADES 0 0 * * * 0 0
GNMA
AVERAGE PRICE 0.0 0.0 * * 107.6 0.0 *
Weighted Avg. Price 0.0 0.0 * * 108.1 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 * * 107.6 0.0 *
2nd Quartile Price 0.0 0.0 * * * 0.0 *
3rd Quartile Price 0.0 0.0 * * * 0.0 *
4th Quartile Price 0.0 0.0 * * * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 * * 107.6 0.0 *
Standard Deviation 0.0 0.0 * * 1.7 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 11,647.4 0.0 *
     NUMBER OF TRADES 0 0 * * 5 0 *
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 100.5 103.1 105.3 107.4 109.3 *
Weighted Avg. Price * 100.5 103.1 105.3 107.4 109.3 *
Avg. Price Bottom 5 Trades * 100.3 102.9 105.2 107.4 109.3 *
2nd Quartile Price * 100.4 103.0 105.3 107.4 109.3 *
3rd Quartile Price * 100.4 103.0 105.3 107.4 109.3 *
4th Quartile Price * 100.5 103.1 105.4 107.4 109.4 *
Avg. Price Top 5 Trades * 100.7 103.5 106.6 108.2 109.4 *
Standard Deviation * 0.1 0.1 0.1 0.2 0.0 *
     VOLUME OF TRADES (000'S) * 15,240,591.5 24,284,763.0 16,069,341.1 3,251,027.9 175,217.0 *
     NUMBER OF TRADES * 550 1,076 674 209 28 *
FHLMC
AVERAGE PRICE 0.0 100.4 103.1 105.4 107.3 0.0 0.0
Weighted Avg. Price 0.0 100.4 103.1 105.3 107.3 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.3 103.0 105.3 107.3 0.0 0.0
2nd Quartile Price 0.0 100.3 103.0 105.3 107.3 0.0 0.0
3rd Quartile Price 0.0 100.3 103.1 105.4 107.3 0.0 0.0
4th Quartile Price 0.0 100.4 103.1 105.4 107.3 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.5 103.6 105.8 107.3 0.0 0.0
Standard Deviation 0.0 0.1 0.2 0.2 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 2,363,639.5 2,136,313.2 2,720,103.4 568,372.1 0.0 0.0
     NUMBER OF TRADES 0 61 84 81 22 0 0
GNMA
AVERAGE PRICE * 101.6 103.8 105.4 106.5 108.0 *
Weighted Avg. Price * 101.6 103.9 105.4 106.5 108.0 *
Avg. Price Bottom 5 Trades * 101.3 102.3 105.1 106.3 107.6 *
2nd Quartile Price * 101.5 103.8 105.3 106.4 107.6 *
3rd Quartile Price * 101.6 103.8 105.3 106.4 108.0 *
4th Quartile Price * 101.6 103.9 105.4 106.6 109.0 *
Avg. Price Top 5 Trades * 101.7 104.4 106.3 107.5 108.2 *
Standard Deviation * 0.1 0.2 0.3 0.4 0.6 *
     VOLUME OF TRADES (000'S) * 2,424,122.9 5,412,443.5 2,940,064.7 1,150,946.9 19,416.6 *
     NUMBER OF TRADES * 147 321 222 98 7 *
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 100.3 102.9 105.2 107.3 109.2 *
Weighted Avg. Price * 100.3 102.9 105.2 107.3 109.3 *
Avg. Price Bottom 5 Trades * 100.2 102.8 105.1 107.2 109.2 *
2nd Quartile Price * 100.3 102.8 105.1 107.3 * *
3rd Quartile Price * 100.3 102.9 105.1 107.3 * *
4th Quartile Price * 100.4 102.9 105.2 107.3 * *
Avg. Price Top 5 Trades * 100.4 103.1 105.2 107.3 109.2 *
Standard Deviation * 0.1 0.1 0.0 0.0 0.1 *
     VOLUME OF TRADES (000'S) * 6,180,197.0 7,809,458.0 6,886,494.0 2,233,268.5 44,116.0 *
     NUMBER OF TRADES * 73 228 145 43 5 *
FHLMC
AVERAGE PRICE 0.0 100.3 102.9 105.2 * 0.0 0.0
Weighted Avg. Price 0.0 100.2 102.9 105.2 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.2 102.8 105.1 * 0.0 0.0
2nd Quartile Price 0.0 100.2 102.9 105.2 * 0.0 0.0
3rd Quartile Price 0.0 100.2 102.9 105.2 * 0.0 0.0
4th Quartile Price 0.0 100.3 102.9 105.2 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.4 103.0 105.3 * 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,440,951.0 971,073.0 2,470,690.0 * 0.0 0.0
     NUMBER OF TRADES 0 33 29 34 * 0 0
GNMA
AVERAGE PRICE 0.0 101.4 103.7 105.2 106.3 * 0.0
Weighted Avg. Price 0.0 101.5 103.7 105.2 106.3 * 0.0
Avg. Price Bottom 5 Trades 0.0 101.4 103.6 105.1 106.2 * 0.0
2nd Quartile Price 0.0 101.4 103.7 105.2 106.3 * 0.0
3rd Quartile Price 0.0 101.4 103.7 105.2 106.3 * 0.0
4th Quartile Price 0.0 101.5 103.7 105.2 106.3 * 0.0
Avg. Price Top 5 Trades 0.0 101.6 103.8 105.3 106.5 * 0.0
Standard Deviation 0.0 0.1 0.0 0.0 0.2 * 0.0
     VOLUME OF TRADES (000'S) 0.0 2,806,303.0 5,060,323.0 2,783,872.0 234,950.0 * 0.0
     NUMBER OF TRADES 0 61 186 88 21 * 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 100.1 102.7 105.0 107.2 0.0 0.0
Weighted Avg. Price 0.0 100.2 102.8 105.0 107.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.1 102.7 104.9 107.1 0.0 0.0
2nd Quartile Price 0.0 100.1 102.7 105.0 107.1 0.0 0.0
3rd Quartile Price 0.0 100.1 102.7 105.0 107.2 0.0 0.0
4th Quartile Price 0.0 100.2 102.7 105.0 107.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.3 102.8 105.1 107.2 0.0 0.0
Standard Deviation 0.0 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 433,250.0 3,138,250.0 927,925.0 84,100.0 0.0 0.0
     NUMBER OF TRADES 0 45 212 110 14 0 0
FHLMC
AVERAGE PRICE 0.0 * 102.7 105.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 102.7 105.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 102.7 105.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * * 105.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * * 105.0 0.0 0.0 0.0
4th Quartile Price 0.0 * * 105.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 102.7 105.0 0.0 0.0 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 99,000.0 311,300.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 7 13 0 0 0
GNMA
AVERAGE PRICE 0.0 101.3 103.5 105.1 106.2 0.0 0.0
Weighted Avg. Price 0.0 101.5 103.6 105.1 106.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 101.2 103.5 105.0 106.1 0.0 0.0
2nd Quartile Price 0.0 101.2 103.5 105.0 106.1 0.0 0.0
3rd Quartile Price 0.0 101.3 103.5 105.1 106.2 0.0 0.0
4th Quartile Price 0.0 101.4 103.6 105.1 106.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.8 103.6 105.2 106.2 0.0 0.0
Standard Deviation 0.0 0.2 0.0 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,886,966.0 3,367,757.0 2,504,000.0 37,000.0 0.0 0.0
     NUMBER OF TRADES 0 58 171 81 18 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.